Equivalent models for finite-fuel stochastic control

DOI10.1080/17442508608833410zbMath0635.93076OpenAlexW1977361400MaRDI QIDQ3775455

Ioannis Karatzas, Steven E. Shreve

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508608833410

zbMATH Keywords

filtrationoptimal stoppinglocal timeGittins indexsingular controlone-dimensional Brownian motionreflected follower problemmonotone follower problem with absorptionstochastic control problem with finite fuel

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (26)

Avoiding the origin: A finite-fuel stochastic control problem ⋮ A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS ⋮ Optimal asset liquidation with multiplicative transient price impact ⋮ Regular finite fuel stochastic control problems with exit time ⋮ Probabilistic aspects of finite-fuel, reflected follower problems ⋮ Discrete parameter singular control problem with state dependent noise and non-smooth dynamics ⋮ Approximating diffusion reflections at elastic boundaries ⋮ Using fuel to control a process to a goal ⋮ A Class of Solvable Stochastic Investment Problems Involving Singular Controls ⋮ Optimal entry to an irreversible investment plan with non convex costs ⋮ Optimal liquidation under stochastic liquidity ⋮ Irreversible reinsurance: a singular control approach ⋮ The dividend problem with a finite horizon ⋮ Finite-Fuel Singular Control With Discretionary Stopping ⋮ Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality ⋮ Solving singular control from optimal switching ⋮ Convergence problems for an impulsively and singularly controlled system ⋮ Singular optimal controls for stochastic recursive systems under convex control constraint ⋮ An application of reflected diffusions to the problem of choosing between hydro and thermal power generation ⋮ Necessary conditions for optimal singular stochastic control problems ⋮ Non-convex Hamilton-Jacobi equations with gradient constraints ⋮ An optimal extraction problem with price impact ⋮ Connections between optimal stopping and singular stochastic control ⋮ A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries ⋮ Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem ⋮ Convex duality for finite-fuel problems in singular stochastic control

Cites Work

• Unnamed Item
• Gittins indices in the dynamic allocation problem for diffusion processes
• Reflexion discontinue et systèmes stochastiques
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Probabilistic aspects of finite-fuel stochastic control
• Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
• Additive Control of Stochastic Linear Systems with Finite Horizon
• A class of singular stochastic control problems

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